摘要
我国房地产业的快速发展离不开银行业的支持,但房地产业信贷规模的不断增长,导致房地产业对银行业的风险集聚,成为学术界重点关注问题。因此,本文基于GARCH-CoVaR模型计算CoVaR值,研究我国房地产业对银行业的风险溢出效应。通过对比三种不同GARCH类模型,得出EGARCH模型的显著程度和拟合优度优于TGARCH和GARCH模型;基于ARMA(2,1)-EGARCH(1,1)模型得出房地产业对银行业的存在正向的风险溢出效应,当房地产业发生危机时,有3.65%的潜在可能性对银行业造成风险。因此,政府应该据此进行有效的风险管理。
The rapid development of the real estate industry in China is inseparable from the support of the banking industry,but the continuous expansion of the credit scale of the real estate industry leads to the concentration of risks in the real estate industry on the banking industry,which has become the focus of the academic community.Therefore,this paper calculates the CoVaR value based on the GARCH-CoVaR model,and studies the risk spillover effects of China's real estate industry on the banking industry.By comparing three different GARCH models,it is concluded that the EGARCH model is more significant and better than the TGARCH and GARCH models.Based on the ARMA(2,1)-EGARCH(1,1)model,it is concluded that the real estate industry has a positive risk spillover effect on the banking industry.When a crisis occurs in the real estate industry,there is a 3.65%potential of risk in the banking industry.Therefore,the government should carry out effective risk management accordingly.
作者
杨娟妮
张品一
YANG Juan-ni;ZHANG Pin-yi(School of Economics and Management,Beijing Information Science and Technology University,Beijing 100192,China)
出处
《价值工程》
2020年第11期96-100,共5页
Value Engineering
基金
国家自然科学基金青年项目“货币政策与房地产系统交互协调研究”(编号:61703010)
国家自然科学基金青年项目“资本管制对资本急停的影响机制研究:基于预期理论的微观视角”(71704099)
北京市社会科学基金青年项目“北京科技金融的融合机制和优化发展对策研究”(16YJC043)。
